Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1180
Annualized Std Dev 0.2180
Annualized Sharpe (Rf=0%) 0.5412

Row

Daily Return Statistics

Close
Observations 4191.0000
NAs 1.0000
Minimum -0.1215
Quartile 1 -0.0052
Median 0.0013
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0071
Maximum 0.1154
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0137
Skewness -0.4982
Kurtosis 9.4195

Downside Risk

Close
Semi Deviation 0.0102
Gain Deviation 0.0092
Loss Deviation 0.0113
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0099
Downside Deviation (0%) 0.0099
Maximum Drawdown 0.5905
Historical VaR (95%) -0.0208
Historical ES (95%) -0.0342
Modified VaR (95%) -0.0213
Modified ES (95%) -0.0433
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2011-02-14 -0.5905 828 267 561
2020-02-20 2020-03-23 2020-06-01 -0.3405 71 23 48
2011-07-08 2011-10-03 2013-01-15 -0.2578 383 61 322
2015-04-24 2016-02-11 2017-02-09 -0.2468 452 202 250
2018-09-05 2018-12-24 2019-04-01 -0.2378 143 77 66

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA 0.6 1.1 1.9 0 1.5 0 5.3
2005 0.3 0.6 -0.2 0.3 0.7 0.2 0.1 0 0.7 0.6 1.6 -0.3 4.8
2006 0.1 1.6 0 -0.2 1.4 0.9 -1.1 0.6 -0.2 -1.4 -0.4 -0.8 0.4
2007 0.7 -0.4 -0.1 -0.2 0.5 -0.2 0.3 1.8 1.3 -2.2 0.6 -0.7 1.4
2008 2.7 -2.8 3.2 0.9 1 0 -0.4 -1.3 -1.4 1.5 -9.9 1.9 -5.1
2009 -2.4 -0.8 1 0.4 3.6 0 -0.2 -1.8 -3.3 -2.3 1.5 -0.9 -5.4
2010 1.9 2 0.9 -1.6 -2.1 -0.1 0.3 3.1 0.2 -0.6 2.2 -0.2 6.1
2011 1.6 -1.7 0.2 0.6 -1.3 1.4 -0.8 -1.4 0.3 -3 -0.2 -0.4 -4.7
2012 1.3 1.1 0.2 0.9 -3.8 3.1 -0.8 0.7 -0.4 1.7 0 1.7 5.7
2013 1 0.1 -1 -0.8 -1.2 1.6 1.9 -0.8 1.4 0.4 -0.2 0.4 2.8
2014 -0.4 -0.7 1.1 0.2 0 0.7 -0.5 0.4 -1.7 1.3 -2.3 0.1 -1.9
2015 -0.7 0 -1.2 1 0.4 0.2 0.9 -3 -0.2 0.1 0.7 -0.1 -1.8
2016 0.4 2.1 0.5 -0.9 0.5 0.2 -0.3 0.2 0.8 -0.8 -1.5 -0.2 1.1
2017 -0.4 1.3 0.2 0.4 1.3 0.4 0.1 0.3 0.6 -0.2 -0.3 0 3.6
2018 0 -1.3 2.3 -0.1 1 0.7 0.3 0.3 -0.8 1.5 0.6 1.1 5.6
2019 0.7 0.8 1 -1.2 -0.6 0.8 -1.2 -0.3 -1.2 1 -0.6 0.3 -0.4
2020 -1.8 -0.9 -4.4 -2.6 0.8 1.2 0.4 1.9 1.5 -2.7 -0.2 0 -6.9
2021 1.9 2.5 1.2 NA NA NA NA NA NA NA NA NA 5.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-07-02  58.5 SPY    113. -0.0005 -8.40e-3  -0.0022  -0.0079    0.131  -0.0713   -0.153 <NA>     NA    NA       NA
2 2004-07-09  57.2 SPY    112.  0.0028 -1.07e-2  -0.0273  -0.0253    0.111  -0.0999   -0.198 <NA>     NA    NA       NA
3 2004-07-13  56.8 SPY    112.  0.0007 -3.00e-4  -0.0218  -0.0258    0.116  -0.0807   -0.198 <NA>     NA    NA       NA
4 2004-07-14  56.8 SPY    112. -0.003  -6.20e-3  -0.015   -0.0149    0.107  -0.0633   -0.202 <NA>     NA    NA       NA
5 2004-07-15  57.0 SPY    111. -0.0065 -5.60e-3  -0.0282  -0.0228    0.102  -0.0744   -0.211 <NA>     NA    NA       NA
6 2004-07-16  56.4 SPY    111. -0.0008 -9.10e-3  -0.0289  -0.0199    0.108  -0.0638   -0.208 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart